Structuring

Trade capture

Accurately record the terms and conditions of candidate transactions in graphical input screens laid out like term sheets. Users do not need to learn a script language: the most complex input is a formula. Interactive schedules and calculated fields accelerate manual data entry. Users may also choose to import product data from a Microsoft Excel file.

LexiFi trading-quality input screens
Trading-quality input screens

Accelerate data entry and reduce errors with interactive screens that resemble term sheets.

Click image to enlarge.

LexiFi Apropos supports hundreds of derivative structures out-of-the box, including most popular structured investment products, based on any type and combination of underlying assets-including equities, foreign exchange, commodities, interest rates, inflation and credit.

General instrument screens enable users to create potentially infinite product variations by simply editing parameters or entering formulas. If predefined instrument screens do not support a particular product, users may describe the product's economics with MLFi, LexiFi's contract description language. A user interface is derived automatically from the MLFi definitions. Contract analysis, valuation and processing capabilities become immediately available. In particular, users may inspect product definitions by visualising future events and payment schedules, and exploring all potential execution paths.

LexiFi graphical product explorer
Graphical product explorer

Define market scenarios graphically and assess their impact on cash flows and other metrics (e.g., annual yield, barrier crossing date, effective lifetime).

Click image to enlarge.

Potentially infinite product variations

Describe, search, value, analyse and process notes, options, and swaps with the following features:

  • single or multiple underlying(s)
  • asset or basket underlyings
  • payments based on the absolute levels or the performance of the underlying(s), measured either from inception or periodically
  • payments based on a ranking of the underlyings' performance (e.g., best of, worst of, rainbow) and the elimination of underlyings (e.g., Himalaya, Everest)
  • quanto
  • firm or conditional coupons, memory effect
  • various coupon calculation methods, including fixed rate, LIBOR and CMS rate references, spreads, caps, floors, complex formulas with combinations of underlyings of any type, range accruals, ratchets, snowballs and TARNs (i.e., autocall condition based on cumulative coupons, optional cap and floor on cumulative coupons)
  • issuer calls and investor puts
  • autocalls
  • barriers (continuous, periodic, final)
  • payments based on aggregation functions (e.g., average maximum, minimum, sum) of underlying levels or performance across dates
  • conditions and payments based on user-defined formulas
  • payments based on trading strategies (e.g., CPPI)
  • cash flows derived from that of other contracts
  • principal amortisation
  • cash settlement, physical delivery, or combination of cash settlement and physical delivery

Structuring tools

Quantify precisely the risks and rewards of both new and existing products with a collection of analytics:
  • Contract variations. Calculate the impact on price of changes in product parameters.
  • Solver. Calculate the value of one or more product parameter(s) and/or market data item(s) to match a user-entered contract price.
  • Market data sensitivity. Calculate the impact on price of instantaneous changes in market data.
  • Monte Carlo simulation. Explore the details of a Monte Carlo pricing result.
  • Greeks.
  • Historical simulation. Quantify the performance of a product as if it had been acquired in the past.
  • Forward-looking simulation. Analyse the behaviour and value of a product along future market scenarios.
  • Historical value at risk.

Multidimensional solver

Solve for contract parameters and market data, given a price

Click image to enlarge.